Source, in full
Cornell: I've always liked depressing music because a lot of times listening to it when you're down can actually make you feel less depressed. Also, even though a person may have problems with depression, sometimes you can actually be kind of comfortable in that space because you know how to operate within it.
Notes from Wikiquote
Guitar.com: Do you perceive run-of-the-mill depression as a comfort zone? | Cornell: The problem is, no one really knows what run-of-the-mill depression is. You'll think somebody has run-of-the-mill depression, and then the next thing you know, they're hanging from a rope. It's hard to tell the difference. But I do feel that depression can be useful. Sometimes it's just chemical. It doesn't seem to come from anywhere. And whenever I've been in any kind of depression, I've over the years tried to not only imagine what it feels like to not be there, but try to remind myself that I could just wake up the next day and it could be gone because that happens, and not to worry about it. And at the same time, when I'm feeling great, I remember the depression and think about the differences in what I'm feeling and why I would feel that way, and not be reactionary one way or the other. You just have to realize that these are patterns of life and you just go through them.